Professor Emeritus

Laboratory for Advanced Computing

Laboratory for Control and Information

Department of Mathematics, Statistics, and Computer Science

University of Illinois at Chicago

Annotated Publications in

Computational Finance and Bioeconomics

Some of our important results concern computational finance and related computational bioeconomics problems emphasizing general jump process modeling of extreme events, part of a general program in stochastic dynamic programming of the optimal control of continuous time stochastic differential equations, and much of it supported by a series of National Science Foundation Awards (See acknowledgements below).

30[NRM88]. F. B. Hanson and D. Ryan,
* Optimal harvesting with density dependent random effects*,
**Natural Resource Modeling**, vol. 2, pp. 439-455, 1988.

64 [MBS98].
F. B. Hanson
and
D. Ryan,
"
**Optimal Harvesting with Both Population and Price Dynamics**,"
**Mathematical BioSciences**, vol. 148, issue 2, pp. 129-146, March
1998.

76 [ACC01].
F. B. Hanson
and
J. J. Westman,
"
**Optimal Consumption and Portfolio Policies
for Important Jump Events: Modeling and Computational Considerations
**,"
**Proceedings of 2001 American Control Conference**,
pp.4456-4661, 25 June 2001.

78 [ACC02].
F. B. Hanson
and
J. J. Westman,
"
**Optimal Consumption and Portfolio Control
for Jump-Diffusion Stock Process with Log-Normal Jumps (corrected)
**,"
**Proceedings of 2002 American Control Conference**,
pp. 4256-4261 (1573-1578), 08 May 2002.

80 [KU02FM].
Floyd B. Hanson and John J. Westman,
"
**Stochastic Analysis of Jump-Diffusions for Financial Log-Return
Processes (corrected)**,"
in **Stochastic Theory and Control, Proceedings of a Workshop held in
Lawrence, Kansas, October 18-20, 2001, Lecture Notes in Control and
Information Sciences**, B.Pasik-Duncan (Editor), Springer-Verlag,
New York, pp. 169-184, 24 July 2002.

83 [MTMS02FM2].
F. B. Hanson
and
J. J. Westman,
"
**Computational Methods for Portfolio and Consumption Optimization
in Log-Normal Diffusion, Log-Uniform Jump Environments**,"
**Proceedings of the 15th International Symposium on Mathematical
Theory of Networks and Systems**, 9 pages, 12 August 2002 (invited
paper).

84 [MTMS02FM1].
F. B. Hanson
and
J. J. Westman,
"
**Jump-Diffusion Stock Return Models in Finance:
Stochastic Process Density with Uniform-Jump Amplitude**,"
**Proceedings of the 15th International Symposium on Mathematical
Theory of Networks and Systems**, 7 pages, 12 August 2002 (invited
paper).

85 [CDC02].
F. B. Hanson
and
J. J. Westman,
"
**Portfolio Optimization with Jump--Diffusions:
Estimation of Time-Dependent Parameters and Application**,"
**Proceedings of 2002 Conference on Decision and Control**,
pp. 377-382, 09-13 December 2002, invited paper CDC02-INV0302.

87 [ACC03].
F. B. Hanson
and
J. J. Westman,
"
**
Jump--Diffusion Stock-Return Model with
Weighted Fitting of Time-Dependent Parameters**,"
**Proceedings of 2003 American Control Conference**,
pp. 4869-4874, 04 June 2003.

89 [TAC04].
Floyd B. Hanson and John J. Westman,
"*Optimal Portfolio and Consumption Policies
Subject to Rishel's Important Jump Events Model:
Computational Methods*,"
**Trans. Automatic Control**,
vol. 49, no. 3, Special Issue on Stochastic Control Methods in
Financial Engineering, pp. 326-337, March 2004.

91 [CM04].
Floyd B. Hanson, John J. Westman and Zongwu Zhu,
"
**
Maximum Multinomial Likelihood Estimation of Market Parameters
for Stock Jump-Diffusion Models**,
in Mathematics of Finance: Proc. 2003 AMS-IMS-SIAM Joint Summer Research
Conference on Mathematics of Finance, **AMS Contemporary
Mathematics**
G. Yin and Q. Zhang (Editors),vol. 351, pp.~155-169, 24 June 2004.

92 [CDC04].
Floyd B. Hanson
and
Zongwu Zhu,
"
**
Comparison of Market Parameters for Jump-Diffusion Distributions
Using Multinomial Maximum Likelihood Estimation**,
**Proceedings of 43nd IEEE Conference on Decision
and Control**, pp. 3919-3924, invited paper, December 2004.

95 [CDC05zh].
Zongwu Zhu
and
Floyd B. Hanson,
"
**
A Monte-Carlo Option-Pricing Algorithm for Log-Uniform Jump-Diffusion
Model
**,
**Proceedings of Joint 44nd IEEE Conference on Decision
and Control and European Control Conference**, pp. 1-6, 12 December
2005.

96 [ACC06].
Guoqing Yan
and
Floyd B. Hanson,
"
**
Option Pricing for a Stochastic-Volatility Jump-Diffusion Model with
Log-Uniform Jump-Amplitudes**,"
**Proceedings of American Control Conference**, pp. 2989-2994,
14 June 2006.

97 [Sethi06]
Zongwu Zhu and Floyd B. Hanson,
"
**
Optimal Portfolio Application with Double-Uniform Jump
Model**,"
**Stochastic Processes, Optimization, and Control Theory:Applications
in Financial Engineering, Queueing Networks
and Manufacturing Systems/A Volume in Honor of Suresh Sethi**,
International Series in Operations Research & Management Sciences,
Vol. 94, H. Yan, G. Yin, Q. Zhang (Eds.), Springer Verlag, New York,
pp. 331-358, Invited chapter, June 2006.

99 [ACC07].
Floyd B. Hanson
and
Guoqing Yan,
"
**
American Put Option Pricing for Stochastic-Volatility, Jump-Diffusion
Models**,"
**Proceedings of 2007 American Control Conference**, pp. 384-389,
11 September 2007; in invited
*WeA12.1: Stochastic Theory and Control in Finance I* session.

100 [SIAMbook].
Floyd B. Hanson,
**Applied Stochastic Processes and Control for Jump-Diffusions:
Modeling, Analysis and Computation**,
SIAM Books: Advances in Design and Control Series,
published 03 October 2007.

WORK SUBMITTED OR NEARLY SUBMITTED

104 [IISC07].
Floyd B. Hanson,
"*Stochastic Processes and Control for
Jump-Diffusions*,"
under revision, 44 pages,
22 October 2007.

105 [BFS08].
Floyd B. Hanson,
*Optimal Portfolio Problem for Stochastic-Volatility,
Jump-Diffusion Models with Jump-Bankruptcy Condition:
Practical Theory and Computation*,
Fifth World Congress of Bachelier Finance Society, 2008,
27 pages, revised 11 July 2008.
(
See this page for abstract and SSRN paper download.)

106 [SIAMCT11].
Floyd B. Hanson,
*
Stochastic-Volatility, Jump-Diffusion Optimal Portfolio Problem with
Jumps in Returns and Volatility
*,
SIAM Conference on Control and Its Applications (CT11),
26 pages, to be presented in
Invited Session MS22 Stochastic Methods in Finance,
Baltimore, MD.
(
See this page for abstract and SSRN paper download.)
*(And/Or Slides?)*

107[MF05zh].
Zongwu Zhu
and
Floyd B. Hanson,
"
**
Risk-Neutral Option Pricing for Log-Uniform
Jump-Amplitude Jump-Diffusion Model
**,"
under revision, pp. 1-44, 20 August 2005.

*
This material is based upon work supported by the National Science
Foundation under Grants Numbers 880699, 9102343, 9301107, 9626692, 9973231,
0207081 in the Computational Mathematics Program.
*

*
Any opinions, findings, and conclusions or recommendations expressed in
this material are those of the author(s) and do not necessarily reflect
the views of the National Science Foundation or other agency.
*

*
Supercomputing research support was provided by
San Diego Supercomputing Center NPACI Account UIL203,
National Center for Supercomputing Applications
Grant Numbers DCR860001N, DMS890009N, DMS900016N, DMS920003N,
DMS960002N;
Pittsburgh Supercomputing Center Grant Numbers DMS940001P and DMS9400011P;
Argonne National Laboratory's Advanced Computing Research Facility;
Los Alamos National Laboratory's Advanced Computing Laboratory
ACL-Accounts Z803835 and gwqfbh-d.
*

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* 23 September 2003*